Study: Buy CADILAHC when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy CADILAHC when near 200 SMA and above 200 SMA and ADX is Trending" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy CADILAHC at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. sell after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
124637.22201010505058.7515609.76-2595.03-10296.221.951.950.0521231.86
217151.8520119556306.2417421.6-5801.87-25856.531.091.330.023857.59
324373.1620119557352.7417471.37-6278.55-19521.771.171.430.0321218.66
426178.0120119557531.9717212.54-6297.07-20521.061.21.460.0331308.9
514090.91201010508986.9618013.94-7577.87-31299.071.191.190.015704.55
616137.03209114512290.6224507.14-8588.96-33422.561.431.170.014806.85
724056.382010105010760.1921498.26-8354.55-28140.611.291.290.0231202.82
852895.9201195511196.9724878.05-7807.87-18772.311.431.750.0532644.79
974610.712010105014320.2423066.2-6859.17-14579.442.092.090.0713730.54
1072383.372010105013242.4822090.59-6004.15-13654.672.212.210.0743619.17
Although, strategy looks good but profit factor on day 6 is less than minimum accepted value so avoid this, see below for further analysis.
CADILAHC Performance, X=10, Profit Factor:2.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017104 Jan 2017 (-1.56%)
2013316 May 2013 (-6.83%), 26 Nov 2013 (-1.54%), 17 Dec 2013 (8.06%)
2012122 May 2012 (-1.78%)
2011125 Aug 2011 (0.63%)
2009109 Apr 2009 (9.42%)
2008109 Jun 2008 (11.05%)
2007118 Dec 2007 (-4.7%)
2006306 Jun 2006 (-3.09%), 21 Jun 2006 (-0.07%), 28 Jul 2006 (8.98%)
2005417 Jan 2005 (6.02%), 08 Jun 2005 (-5.89%), 11 Aug 2005 (-1.88%), 25 Nov 2005 (1.77%)
2004108 Jul 2004 (10.98%)
2002201 Aug 2002 (3.57%), 26 Aug 2002 (-2.67%)
2001130 Oct 2001 (5.73%)

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
200trail21.5742109.32281414505755.877820.74-2748.06-3989.232.092.090.0791503.9
200trail-13.3848196.322671926.9213324.1640528.36-2372.25-3989.235.622.070.0441853.7
200trail31.9240307.7826111542.317304.811387.74-2669.66-3989.232.742.010.0681550.3
200nil21.5739537.36281414505755.877820.74-2931.77-3989.231.961.960.0731412.05
atrtrail-17.5256973.412191242.8614987.3536268.65-6492.73-14196.312.311.730.0482713.02
atrtrail35.8652495.022191242.8614489.7526293.72-6492.73-14196.312.231.670.0472499.76
200nil32.0824067.6125916368097.3611387.74-3050.54-3989.232.651.490.04962.7
atrtrail24.7129784.912191242.8611966.417529.15-6492.73-14196.311.841.380.0321418.33
atrnil37.9518126.32206143022248.7226293.72-8240.43-14853.642.71.160.014906.32
atrnil26.75-7691.61207133514492.5617529.15-8395.35-14853.641.730.93-0.0078-384.58

In the table above, row 1 shows the best exit criterion. Profit factor is 2.09. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.75%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.079, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CADILAHC Performance, Profit Factor:2.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017104 Jan 2017 (3.91%)
2013416 May 2013 (-1.04%), 26 Nov 2013 (-1.99%), 06 Dec 2013 (-1.38%), 17 Dec 2013 (3.8%)
2012122 May 2012 (-1.52%)
2011225 Aug 2011 (2.09%), 26 Aug 2011 (3.8%)
2009209 Apr 2009 (-1.69%), 13 Apr 2009 (2.7%)
2008109 Jun 2008 (2.21%)
2007218 Dec 2007 (3.16%), 19 Dec 2007 (-1.2%)
2006406 Jun 2006 (-1.76%), 21 Jun 2006 (2.43%), 28 Jul 2006 (-1.31%), 03 Aug 2006 (2.5%)
2005617 Jan 2005 (3.1%), 20 Jan 2005 (2.03%), 08 Jun 2005 (-1.21%), 11 Aug 2005 (3.36%), 25 Nov 2005 (-0.96%), 01 Dec 2005 (-0.91%)
2004108 Jul 2004 (2.58%)
2002201 Aug 2002 (-1.6%), 26 Aug 2002 (-1.14%)
2001230 Oct 2001 (-1.52%), 31 Oct 2001 (2.61%)



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